Motivated by the fact that hedge funds staffs more often than not face the problem of optimal asset allocation for large portfolios of investable stocks, In this study we propose a new theoretical framework based on the large deviations theory to select an optimal investment strategy for a large portfolio such that the risk, which is defined as the probability that the portfolio return underper...

I introduce dynamic option trading and non-linear views into the classical portfolio selection problem. The optimal dynamic option portfolio is characterized explicitly in terms of its expected sensitivities (Greeks) and the role of the meanvariance efficient portfolio is played by the “Greek-efficient” portfolio. This is the portfolio that has the optimal sensitivities to chosen risk factors. ...

Known facts about the existence and uniqueness of the log-optimal investment portfolio are presented in a simpler and more complete form than in previous publications. Five examples illustrate the problems around its existence and uniqueness and provide an intuitive insight into mathematical properties of the log-optimal portfolio and the associated optimal doubling rate.

Purpose – This study aims to analyze the actual portfolio of BPKH from hajj fund investment and examine optimization for based on PP No.5 Tahun 2018.Methodology The data used in this was quarterly form price coupon Sukuk instruments equivalent yield rate Sharia deposits. uses Markowitz Diversification method with Tangency Portfolio model as a determine optimal portfolio. Findings result showed ...

This paper proposes an integrated approach to discrete time modelling in nance and insurance This approach is based on the existence of a speci c benchmark portfolio known as the growth optimal portfolio When used as numeraire this portfolio ensures that all benchmarked price processes are supermartingales A fair price is characterized in terms of the type of maximum that the growth rate of the...

In this paper, we solve the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds. Default-risk is modeled in an intensity based framework with state variables following an a¢ne di¤usion. The structure of the optimal portfolio over time is investigated and compared to the static meanvariance portfolio. Furthermore, we describe the impact of ti...

We study a portfolio selection problem in a continuous-time Markovian regimeswitching model. The market in this model is, in general, incomplete. We adopt a method to complete the market based on an enlargement of the market using a set of geometric Markovian jump securities. We solve the portfolio selection problem in the enlarged market for a power utility and a logarithmic utility. Closed-fo...